Re: Kooql

Posted by Mark joshi-2 on Aug 09, 2010; 8:46pm
URL: http://quantlib.414.s1.nabble.com/Kooql-tp7085p7092.html

To use the control variate, you simply price the arithmetic minus the
geometric, and add the analytic price at the end.

Sobol numbers work well in high dimensions if used properly.

The code for the Asian stuff is in Kooderive. I wrote my own Asian
pricer for the CPU.

regards

Mark


--


Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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